Financial markets are ever-changing ecosystems, adapting to economic shifts. Moreover, events such as the 2008 financial crisis, the COVID-19 pandemic, and changes in the market sensitivities, foster novel investment paradigms, tethered to new factors and topics. This doctoral thesis, entitled "Essays on Financial Markets and Factor Investing," delves into pivotal aspects of this dynamic framework, aiming to illuminate recent innovations in financial research. The thesis explores pioneering investment methodologies, including Factor Investing and Smart Beta strategies, while also examining the impact of external factors such as climate change and financial market sentiment. The thesis is divided into two parts. The first section, encompassing three chapters, focuses on delineating factors influencing financial markets and devising frameworks for their evaluation. The first chapter conducts a systematic literature review on Factor Investing, tracing its evolution into Smart Beta strategies and identifying future research. Subsequent chapter two delves into the identification of business and financial cycles while chapter three relies on the regime-dependent framework to evaluate Smart Beta and portfolios. The second section of the thesis comprises two chapters that explore auxiliary factors shaping financial markets. The fourth chapter investigates the impact of the ECB climate change strategy on European banks' stock returns, employing an event-study methodology to discern market reactions to ECB announcements. Findings reveal heterogeneous effects of these announcements on bank returns. Finally, the final chapter studies the sentiment indicators for the Italian business cycle, exploring the predictive power of the CFA-Radiocor Sentiment Index. The chapter evaluates the index's ability to forecast economic and financial trends through cross-correlation, regression analysis, and Granger causality tests.
I mercati finanziari sono ecosistemi in continua evoluzione. Inoltre, eventi come la crisi finanziaria del 2008, la pandemia di COVID-19 e cambiamenti nella sensibilità del mercato stimolano nuovi paradigmi di investimento, legati a nuovi fattori e tematiche. Questa tesi di dottorato, intitolata "Saggi sui Mercati Finanziari e sugli investimenti fattoriali," approfondisce aspetti cruciali di questo quadro dinamico e fa luce sulle recenti innovazioni nella ricerca finanziaria. La tesi esplora metodologie di investimento innovative, inclusi gli investimenti basati sui fattori (Factor Investing) e le strategie Smart Beta, ed esamina il ruolo di fattori esterni come il cambiamento climatico e il sentiment del mercato. La tesi è divisa in due parti. La prima sezione comprende tre capitoli e si concentra sulla delineazione dei fattori che influenzano i mercati finanziari e sulla loro valutazione. Il primo capitolo conduce una revisione sistematica della letteratura sul Factor Investing, tracciando la sua evoluzione nelle strategie Smart Beta e identificando ricerche future. Il capitolo successivo identifica il ciclo economico-finanziario, mentre il terzo capitolo si basa sul framework mostrato nel capitolo due per valutare le strategie Smart Beta e i portafogli. La seconda sezione della tesi comprende due capitoli che esplorano fattori ausiliari che plasmano i mercati finanziari. Il quarto capitolo studia l'impatto della strategia sulla climate change della BCE sui rendimenti delle azioni delle banche europee, impiegando una metodologia di event-study per discernere le reazioni di mercato agli annunci della BCE. I risultati rivelano effetti eterogenei di questi annunci sui rendimenti delle banche. Infine, il capitolo cinque esplora il potere predittivo dell'indice di sentiment CFA-Radiocor e valuta l'abilità dell'indice di prevedere le tendenze economiche-finanziarie attraverso analisi di cross-correlazione, analisi di regressione e test di causalità di Granger.
Essays on Financial Markets and Factor Investing / Giampaoli, Noemi. - (2024 Jun 08).
Essays on Financial Markets and Factor Investing
GIAMPAOLI, NOEMI
2024-06-08
Abstract
Financial markets are ever-changing ecosystems, adapting to economic shifts. Moreover, events such as the 2008 financial crisis, the COVID-19 pandemic, and changes in the market sensitivities, foster novel investment paradigms, tethered to new factors and topics. This doctoral thesis, entitled "Essays on Financial Markets and Factor Investing," delves into pivotal aspects of this dynamic framework, aiming to illuminate recent innovations in financial research. The thesis explores pioneering investment methodologies, including Factor Investing and Smart Beta strategies, while also examining the impact of external factors such as climate change and financial market sentiment. The thesis is divided into two parts. The first section, encompassing three chapters, focuses on delineating factors influencing financial markets and devising frameworks for their evaluation. The first chapter conducts a systematic literature review on Factor Investing, tracing its evolution into Smart Beta strategies and identifying future research. Subsequent chapter two delves into the identification of business and financial cycles while chapter three relies on the regime-dependent framework to evaluate Smart Beta and portfolios. The second section of the thesis comprises two chapters that explore auxiliary factors shaping financial markets. The fourth chapter investigates the impact of the ECB climate change strategy on European banks' stock returns, employing an event-study methodology to discern market reactions to ECB announcements. Findings reveal heterogeneous effects of these announcements on bank returns. Finally, the final chapter studies the sentiment indicators for the Italian business cycle, exploring the predictive power of the CFA-Radiocor Sentiment Index. The chapter evaluates the index's ability to forecast economic and financial trends through cross-correlation, regression analysis, and Granger causality tests.File | Dimensione | Formato | |
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